Are Cryptocurrency Markets, Efficient Markets?

59 Pages Posted: 2 Feb 2021

Date Written: July 31, 2020


This paper examines the market efficiency of three key cryptocurrency markets namely: Bitcoin, Ethereum and Monero, before and during the COVID-19 pandemic. This research makes use of a Durbin-Watson test and a non-parametric runs test to test for weak-form efficiency, and two comprehensive event studies to test for semi-strong form and strong form efficiency. We conclude neither market can be considered efficient due to the presence of strong positive correlation, and inefficient reactions to our event studies. Despite this, each market became more efficient during the COVID-19 pandemic than before, due to the presence of weaker positive correlation during this timeframe, but inefficient, nonetheless. Thus, the study finds that of the tested cryptocurrency markets, none can be consider wholly efficient. This conclusion is consistent with the vast majority of existing literature.

Keywords: Market Efficiency, Efficient Market Hypothesis, Cryptocurrency, Bitcoin, Monero, Ethereum, Weak-Form Efficiency, Semi-Strong Form Efficiency, Strong Form Efficiency, COVID-19, Coronavirus

JEL Classification: G01, G14

Suggested Citation

Singh, Arjun, Are Cryptocurrency Markets, Efficient Markets? (July 31, 2020). Available at SSRN: or

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